Public and Private Real Estate in a Mixed-Asset Portfolio

Andrew G. Mueller · Mueller Glenn

94 citations0/0 files storedJournal of Real Estate Portfolio Management

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Housing Market and Economics

Abstract

Executive Summary. Recent stock market volatility and low interest rates have renewed interest in income / dividend producing investments. Previous research has studied the inclusion of public real estate or private real estate in a mixed-asset portfolio, but only one study has included both (with constraints). This study analyzes the inclusion of both public and private real estate in a mixed-asset portfolio using the mean / variance Markowitz efficient frontier methodology unconstrained. The 5-, 10-, 15- and 25-year results show that both public and private real estate can improve efficient frontiers substantially and may command a larger allocation than currently used.

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References

1993Estimating Market Values from Appraised Values without Assuming an Efficient Market 1999Do Real Estate Prices and Stock Prices Move Together? An International Analysis 1999The Integration of Commercial Real Estate Markets and Stock Markets 2002Institutional Investors’ Preferences for REIT Stocks 2001Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present‐Value Approach

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